Jensen, J. L. W. V. (1906). Sur les fonctions convexes et les inegalites entre les valeurs moyennes. Acta Mathematica. 30 (1): 175—193. doi:10.1007/BF02418571.
Attention: In this generality additional assumptions on the convex function and/ or the topological vector space are needed, see Example (1.3) on p. 53 in Perlman, Michael D. (1974). Jensen's Inequality for a Convex Vector-Valued Function on an Infinite-Dimensional Space. Journal of Multivariate Analysis. 4 (1): 52—65. doi:10.1016/0047-259X(74)90005-0.